Nonparametric Analysis of Random Utility Models: Computational Tools for Statistical Testing

Bart Smeulders, Laurens Cherchye and Bram De Rock

Econometrica, 2021, vol. 89, issue 1, 437-455

Abstract: Kitamura and Stoye (2018) recently proposed a nonparametric statistical test for random utility models of consumer behavior. The test is formulated in terms of linear inequality constraints and a quadratic objective function. While the nonparametric test is conceptually appealing, its practical implementation is computationally challenging. In this paper, we develop a column generation approach to operationalize the test. These novel computational tools generate considerable computational gains in practice, which substantially increases the empirical usefulness of Kitamura and Stoye's statistical test.

Date: 2021
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https://doi.org/10.3982/ECTA17605

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Working Paper: Nonparametric Analysis of Random Utility Models: Computational Tools for Statistical Testing (2019)
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